NTCOV2COR

Converts covariance matrix to standard deviation vector and correlation matrix

Syntax

Parameters

• Covariance matrix is a covariance matrix.
• Calc stdev vector is a logical value that determines standard deviations of each variables are computed or not.

Example

• The example may be easier to understand if you copy it to a blank worksheet
  
  
  
  How to copy an example
  
  1. Create a blank workbook or worksheet.
  2. Select the example in the Help topic.

     Note  Do not select the row or column headers.

     

     Selecting an example from Help

  3. Press CTRL+C.
  4. In the worksheet, select cell A1, and press CTRL+V.
  5. To switch between viewing the results and viewing the formulas that return the results, press CTRL+` (grave accent), or on the Tools menu, point to Formula Auditing, and then click Formula Auditing Mode.

  1 2 3 4 5 6

  A B C D Data Data Data Description 0.9 2.1 -0.65 cov. matrix 2.1 0.59 1.2 cov. matrix -0.65 1.2 1.1 cov. matrix Formula     Description (Result) =NTCOV2COR(A2:C4,FALSE)     Correlation matrix for the terms above (3 x 3 array)

  Note The formula in the example must be entered as an array formula. After copying the example to a blank worksheet, select the range A6:C8 starting with the formula cell. Press F2, and then press CTRL+SHIFT+ENTER.

Example2. standard deviation vector and correlation matrix

1 2 3 4 5 6

A B C D Data Data Data Description 0.9 2.1 -0.65 cov. matrix 2.1 0.59 1.2 cov. matrix -0.65 1.2 1.1 cov. matrix Formula     Description (Result) =NTCOV2COR(A2:C4,TRUE)     Standard deviation vector (A6:C6) and correlation matrix (A7:C9) for the terms above

Note The formula in the example must be entered as an array formula. After copying the example to a blank worksheet, select the range A6:C9 starting with the formula cell. Press F2, and then press CTRL+SHIFT+ENTER.

• Download sample excel sheet

See also

• NTCOR2COV
• NTMULTICORREL
• NTMULTICOVARP
• Why I always see the same result even if I input formula into multiple cell?